Strategic Report Governance
Financial Statements
173
(c) Transfers between levels The Group’s policy is to assess pricing source changes and determine transfers between levels as of the end of each half-yearly reporting period. Transfers between levels arise from changes in the pricing sources. During the year there were the following transfers between levels: • Transfers from Level 2 to Level 1 as a result of improved pricing sources were £1,380m (2023: £1,492m) • Transfer from Level 1 to Level 2 due to a fall in pricing quality were £275m (2023: £279m) • Transfers from level 2 to level 3 due to a fall in pricing quality £192m (2023: 157m) • Transfers from level 3 to level 2 are investment contract liabilities which have been transferred to match the classification of the assets backed to those liabilities £37m (2023: nil) and investments which have improved pricing sources £467m (2023: £15m) (d) Level 3 assets and liabilities measured at fair value Reconciliation of the opening and closing recorded amount of Level 3 assets and liabilities held at fair value.
Debt securities and other fixed income securities £m
Loans secured by commercial mortgages £m
Long income real estate £m
Infra- structure loans £m
Investment contract liabilities £m
Derivative financial liabilities £m
Derivative financial assets £m
Investment funds £m
Other loans £m
Lifetime mortgages £m
Year ended 31 December 2024
At 1 January 2024
398
2,914 2,417
764 178
779 1,113 123 5,681
(35) (13)
(14)
– – 1 – – –
Purchases/advances/deposits
81
235 101
– – – – –
340
– – – – –
Transfers to Level 3 Transfers from Level 3
– – –
192
– – –
– –
– –
– – –
–
(467)
37
Reclassification between level 3 Sales/redemptions/payments Recognised in profit or loss in investment return – Realised gains and losses – Unrealised gains and losses
–
(119)
119
– 8
(180)
(107)
(127)
(13)
(39)
(375)
(11)
–
–
–
–
– 2 9
150
– – –
–
– 5 –
1 –
(175)
(7)
(95)
(43)
(364)
(4)
Interest accrued
(19)
1
–
(5)
205
–
Change in fair value of liabilities recognised in profit or loss
–
–
–
–
–
–
–
(2) (5)
–
– 6
At 31 December 2024
289
4,755
809
787 1,246 134 5,637
(18)
Debt securities and other fixed income securities £m
Loans secured by commercial mortgages £m
Long income real estate £m
Infra- structure loans £m
Investment contract liabilities £m
Derivative financial liabilities £m
Derivative financial assets £m
Investment funds £m
Other loans £m
Lifetime mortgages £m
Year ended 31 December 2023
At 1 January 2023
338
1,605 1,195
584 256
247 948 112 5,306
(33) (12)
(42)
– – – – –
Purchases/advances/deposits
56
529 138
17
186
– – –
Transfers to Level 3 Transfers from Level 3
– – 4
157
– –
– –
– –
– – –
– –
– – 1
(15)
Sales/redemptions/payments Recognised in profit or loss in investment return – Realised gains and losses – Unrealised gains and losses
(116)
(110)
(4)
(50)
(342)
23
– – –
–
–
– 7 –
–
–
122 164 245
– – –
– 5 –
– – –
93
32
72
(16)
Interest accrued
(5)
2
5
10
Change in fair value of liabilities recognised in profit or loss
–
–
–
–
–
–
–
9
–
– –
At 31 December 2023
398
2,914
764
779 1,113 123 5,681
(35)
(14)
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